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Bias-correcting the realized range-based variance in the presence of market microstructure noise

✍ Scribed by Kim Christensen; Mark Podolskij; Mathias Vetter

Book ID: 106235750
Publisher: Springer-Verlag
Year: 2009
Tongue: English
Weight: 619 KB
Volume: 13
Category: Article
ISSN: 0949-2984
DOI: 10.1007/s00780-009-0089-9

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